2019 Supervisory Scenarios for Annual Stress Tests ... · 2/13/2019 · Act stress test (DFAST) and the Comprehensive Capital Analysis and Review (CCAR).1 DFAST is a forward-looking

2019 Supervisory Scenarios forAnnual Stress Tests Required underthe Dodd-Frank Act Stress Testing

Rules and the Capital Plan Rule

February 2019

B O A R D O F G O V E R N O R S O F T H E F E D E R A L R E S E R V E S Y S T E M

2019 Supervisory Scenarios forAnnual Stress Tests Required underthe Dodd-Frank Act Stress Testing

Rules and the Capital Plan Rule

February 2019

B O A R D O F G O V E R N O R S O F T H E F E D E R A L R E S E R V E S Y S T E M

Errata

The Federal Reserve revised this publication on February 13, 2019, to reflect corrected data. The revision is

listed below.

• On p. 10, under Table 1.A, the Q4 2018 Mortgage rate has been revised from 4.6 to 4.8 percent.

This and other Federal Reserve Board reports and publications are available online at

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Introduction ............................................................................................................................... 1

Supervisory Scenarios ............................................................................................................ 3

Baseline, Adverse, and Severely Adverse Scenarios ..................................................................... 3 Global Market Shock Component for Supervisory Adverse and Severely Adverse

Scenarios ........................................................................................................................... 6 Counterparty Default Component for Supervisory Adverse and Severely Adverse

Scenarios ........................................................................................................................... 7

Variables for the Supervisory Scenarios ........................................................................... 9

iii

Contents

Introduction

The Federal Reserve Board conducts supervisory

stress tests to help ensure that large bank holding

companies operating in the United States will be able

to lend to households and businesses even in a severe

recession. The tests are known as the Dodd-Frank

Act stress test (DFAST) and the Comprehensive

Capital Analysis and Review (CCAR).1

DFAST is a forward-looking assessment of capital

adequacy that uses standard assumptions across all

firms. CCAR evaluates the capital planning practices

and capital adequacy using the capital actions, such

as dividend payments and share repurchases,

planned by the firms.

This publication describes the three supervisory sce-

narios—baseline, adverse, and severely adverse—that

the Board will use in its supervisory stress tests this

year; that a firm, savings and loan holding company,

or state member bank must use in conducting its

annual company-run stress test; and that a firm must

use to estimate projected revenues, losses, reserves,

and pro forma capital levels as part of its 2019 capi-

tal plan submission.2 This publication also details

additional components that the largest and most

complex firms will be required to incorporate into

the supervisory scenarios—the global market shock

component and the counterparty default

component.

1 The Board requires U.S. bank holding companies, savings andloan holding companies, and depository institutions with morethan $100 billion in assets and U.S. intermediate holding com-panies of foreign banking organizations (U.S. IHCs) to complywith its stress test rules. On February 5, 2019, the Boardannounced that certain less-complex U.S. bank holding compa-nies and U.S. IHCs with less than $250 billion in assets wouldnot be subject to supervisory stress testing, company-run stresstesting, or the Comprehensive Capital Analysis and Review for2019. 2 See 12 CFR 252.14(b), 12 CFR 252.54(b), and 12 CFR 225.8.

1

Supervisory Scenarios

The adverse and severely adverse scenarios describe

hypothetical sets of conditions designed to assess

the strength of banking organizations and their resil-

ience to adverse economic environments. The baseline

scenario follows a profile similar to the average

projections from a survey of economic forecasters.

The scenarios are not forecasts of the Federal

Reserve.3

The scenarios start in the first quarter of 2019 and

extend through the first quarter of 2022. Each sce-

nario includes 28 variables; this set of variables is the

same as the set provided in last year’s supervisory

scenarios. The variables describing economic devel-

opments within the United States include:

Six measures of economic activity and prices: percent

changes (at an annual rate) in real and nominal gross

domestic product (GDP); the unemployment rate of

the civilian non-institutional population aged

16 years and over; percent changes (at an annual

rate) in real and nominal disposable personal income;

and the percent change (at an annual rate) in the

consumer price index (CPI);

Four aggregate measures of asset prices or financial

conditions: indexes of house prices, commercial real

estate prices, equity prices, and U.S. stock market

volatility; and

Six measures of interest rates: the rate on 3-month

Treasury bills; the yield for 5-year Treasury notes;

the yield for 10-year Treasury notes; the yield for

10-year BBB corporate securities; the interest rate

associated with conforming, conventional, 30-year

fixed-rate mortgages; and the prime rate.

The variables describing international economic con-

ditions in each scenario include three variables in

four countries or country blocs:

The three variables for each country or country bloc:

the percent change (at an annual rate) in real GDP,

the percent change (at an annual rate) in the CPI or

local equivalent, and the level of the U.S. dollar

exchange rate.

The four countries or country blocs included: the euro

area (the 19 European Union member states that

have adopted the euro as their common currency),

the United Kingdom, developing Asia (the nominal

GDP-weighted aggregate of China, India, South

Korea, Hong Kong Special Administrative Region,

and Taiwan), and Japan.

Baseline, Adverse, and SeverelyAdverse Scenarios

The following sections describe the baseline, adverse,

and severely adverse scenarios. The variables

included in these scenarios are provided in tables at

the end of this document. They can also be down-

loaded (together with the historical time series of the

variables) from the Board’s website, at http://www

.federalreserve.gov/bankinforeg/dfa-stress-tests.htm.

Historical data for the domestic and the international

variables are reported in Table 1.A and Table 1.B,

respectively.

Baseline Scenario

The baseline outlook for U.S. real activity, inflation,

and interest rates (see Table 2.A) is similar to the

January 2019 consensus projections from Blue Chip

Economic Indicators.4 This scenario does not repre-

sent the forecast of the Federal Reserve.

3 For more on the Federal Reserve’s framework for designing sce-narios for stress testing, see 12 CFR 252, Appendix A.

4 See Wolters Kluwer Legal and Regulatory Solutions (Janu-ary 2019), Blue Chip Economic Indicators, vol. 44, no. 1.

3

http://www.federalreserve.gov/bankinforeg/dfa-stress-tests.htm

http://www.federalreserve.gov/bankinforeg/dfa-stress-tests.htm

The baseline scenario for the United States is a mod-

erate economic expansion through the scenario

period. Real GDP growth averages 2¼ percent in

2019, drops slightly to 1½ percent in 2020, and then

rises to 2 percent in 2021. The unemployment rate

falls to about 3½ percent during 2019, and then

increases to about 4 percent by the first half of 2021.

CPI inflation averages about 2¼ percent each year.

Accompanying the moderate economic expansion,

Treasury yields are assumed to rise modestly across

the maturity spectrum. Short-term Treasury rates

increase from about 2½ percent in the first half

2019 to about 2¾ percent in the second half of 2019

and level off thereafter; yields on 10-year Treasury

securities rise from 3 percent at the beginning of

2019 to about 3¼ percent at the beginning of 2020

and continue rising gradually to about 3½ percent by

the end of the scenario period. The prime rate

increases in line with short-term Treasury rates, and

both corporate bond yields and mortgage rates rise

in line with long-term Treasury yields. Equity prices

rise about 5 percent on average each year, and equity

market volatility falls modestly. Nominal house

prices rise about 2½ percent per year through 2020,

and about 3 percent per year thereafter. The growth

rate of commercial real estate prices averages about

6 percent in 2019, and falls gradually to about 3 per-

cent in 2020.

The baseline paths for the international variables (see

Table 2.B) are similar to the trajectories reported in

the January 2019 Blue Chip Economic Indicators and

the International Monetary Fund’s October 2018

World Economic Outlook.5 The baseline scenario

features an expansion in international economic

activity, albeit one that proceeds at different rates in

the four countries or country blocs under consider-

ation. Real GDP growth in developing Asia averages

about 6 percent in 2019, slowing slightly to about

5¾ percent per year through the end of the scenario

period; real GDP growth in Japan averages a little

more than ¾ percent in 2019 and slows to slightly

more than ½ percent by the end of the scenario

period; real GDP growth in the euro area averages

about 1¾ percent in 2019 and slows to 1½ percent

afterwards. Finally, growth in the United Kingdom

averages about 1½ percent per year through the sce-

nario period.

Severely Adverse Scenario

The severely adverse scenario is characterized by a

severe global recession accompanied by a period of

heightened stress in commercial real estate markets

and corporate debt markets. This is a hypothetical

scenario designed to assess the strength of banking

organizations and their resilience to unfavorable eco-

nomic conditions and does not represent a forecast

of the Federal Reserve.

The U.S. unemployment rate climbs to a peak of

10 percent in the third quarter of 2020 (see

Table 4.A). This change in the unemployment rate is

consistent with the Board’s Policy Statement on the

Scenario Design Framework for Stress Testing.6 In

line with the increase in the unemployment rate, real

GDP falls about 8 percent from its pre-recession

peak, reaching a trough in the third quarter of 2020.

The decline in activity is accompanied by a lower

headline CPI inflation, which falls to about 1¼ per-

cent at an annual rate in the first quarter of 2019 and

then rises gradually to about 2 percent at an annual

rate by the second half of 2020.

As a result of the severe decline in real activity, the

interest rate for 3-month Treasury bills falls 2¼ per-

centage points and remains near zero through the

end of the scenario. The 10-year Treasury yield falls

by a somewhat smaller amount, resulting in a mildly

steeper yield curve. The 10-year Treasury yield

reaches a trough of about ¾ percent in the first

quarter of 2019 and rises gradually thereafter to

1½ percent by the first quarter of 2021 and 1¾ per-

cent by the first quarter of 2022. Financial condi-

tions in corporate and real estate lending markets are

stressed severely. The spread between yields on

investment-grade corporate bonds and yields on

long-term Treasury securities widens to 5½ percent

by the third quarter of 2019, an increase of 3½ per-

centage points relative to the fourth quarter of 2018.

The spread between mortgage rates and 10-year

Treasury yields widens to 3½ percentage points over

the same time period.

Asset prices drop sharply in this scenario. Equity

prices fall 50 percent through the end of 2019,

accompanied by a rise in the VIX, which reaches a

peak of 70 percent. House prices and commercial

real estate prices also experience large declines of

about 25 percent and 35 percent, respectively.5 See International Monetary Fund, World Economic Outlook

(October 2018), https://www.imf.org/en/Publications/WEO/Issues/2018/09/24/world-economic-outlook-october-2018. 6 See 12 CFR 252, Appendix A.

4 Federal Reserve Supervisory Scenarios

https://www.imf.org/en/Publications/WEO/Issues/2018/09/24/world-economic-outlook-october-2018

https://www.imf.org/en/Publications/WEO/Issues/2018/09/24/world-economic-outlook-october-2018

The international component of this scenario fea-

tures severe recessions in the euro area, United King-

dom, and Japan, and a shallow recession in develop-

ing Asia. As a result of the sharp contraction in eco-

nomic activity, all foreign economies included in the

scenario experience a decline in consumer prices. The

U.S. dollar appreciates against the euro, the pound

sterling, and the currencies of developing Asia, but

depreciates modestly against the yen because of

flight-to-safety capital flows.

Comparison of the 2019 Severely Adverse

Scenario and the 2018 Severely Adverse

Scenario

This year’s severely adverse scenario features a more

severe recession and a greater increase in the unem-

ployment rate in the United States compared to last

year’s scenario. This increase in severity in those

variables reflects the Board’s Policy Statement on the

Scenario Design Framework for Stress Testing,

which calls for a more pronounced economic down-

turn when current conditions are especially strong.

Given a lower unemployment rate at the beginning

of this year’s scenario compared to last year’s, the

framework calls for a correspondingly larger increase

in the unemployment rate in order to reach a peak of

at least 10 percent.

In addition, 10-year Treasury yields fall in this year’s

scenario. By contrast, last year’s severely adverse

scenario featured unchanged 10-year Treasury yields,

and a sharply steeper yield curve, reflecting a global

aversion to long-term fixed income assets, a develop-

ment not previously featured in a severely adverse

scenario. As a result, the declines in some asset

prices, such as stock prices, are more aligned with the

declines featured in the 2017 severely adverse

scenario.

Additional Key Features of the Severely

Adverse Scenario

Although the weakness in euro area economic condi-

tions reflects a broad-based contraction in euro area

demand, this contraction should be assumed to be

more protracted in countries with less room for fiscal

policy stabilization. The sharp slowdown in develop-

ing Asia is distributed unevenly across countries,

with more pronounced decelerations in the larger

economies. Economic conditions in developing Asia

should be assumed to be representative of conditions

across emerging market economies.

Declines in aggregate U.S. residential and commer-

cial real estate prices should be assumed to be con-

centrated in regions that have experienced rapid price

gains over the past two years. Declines in prices of

U.S. housing and commercial real estate should also

be assumed to be representative of risks to house

prices and commercial real estate prices in foreign

regions and economies that have experienced rapid

price gains over the past two years.

Adverse Scenario

The adverse scenario is characterized by weakening

economic activity across all of the economies

included in the scenario, accompanied by a moderate

correction in asset prices and rise in volatility. This is

a hypothetical scenario designed to assess the

strength of banking organizations and their resil-

ience to adverse economic conditions, and does not

represent a forecast of the Federal Reserve.

The macroeconomic and financial developments in

this year’s adverse scenario are similar to the devel-

opments in the severely adverse scenario but are

more moderate in magnitude. As a result, the two

scenarios together allow for an investigation of the

relationship between firm-specific outcomes and the

intensity of economic and financial dislocations.

As in the severely adverse scenario, the unemploy-

ment rate peaks in the third quarter of 2020 but

reaches a lower level of 7 percent rather than 10 per-

cent (Table 3.A). The U.S. economy experiences a

recession, with real GDP falling slightly more than

2¾ percent from peak to trough. Reflecting weak

economic conditions, short-term interest rates and

longer-term Treasury yields fall. In addition, finan-

cial conditions tighten and asset prices decline, but

less intensely compared to the severely adverse sce-

nario. For example, equity prices reach a trough at

the end of 2019 in both scenarios, falling about

20 percent in the adverse scenario and 50 percent in

the severely adverse scenario.

Following the recession, U.S. real activity picks up

slowly at first and then gains momentum. The

growth rate of U.S. real GDP increases from about

¾ of a percent in 2020 to about 3¼ percent in 2021.

The unemployment rate declines modestly, to about

6¼ percent by the end of the scenario period. Con-

sumer price inflation remains close to 2 percent

through the end of the scenario period. Yields on

February 2019 5

10-year Treasury securities rise gradually to slightly

less than 2 percent by the end of the scenario period.

Outside of the United States, the adverse scenario

features moderate recessions in the euro area and the

United Kingdom, a slightly more protracted reces-

sion in Japan than elsewhere, and below-trend

growth in developing Asia (see Table 3.B). Weakness

in global demand results in slowing inflation in all of

the foreign economies under consideration, including

a deflationary episode in Japan. Reflecting flight-to-

safety capital flows, the U.S. dollar appreciates

against the euro, the pound sterling, and the curren-

cies of developing Asia, and depreciates modestly

against the yen.

Additional Key Features of the Adverse

Scenario

As in last year’s adverse scenario, the slowdown in

euro area economic activity reflects a broad-based

contraction in euro area demand, not a contraction

that is concentrated in a few specific economies.

Similarly, the slowdown in developing Asia reflects a

weakening in economic conditions across emerging

market economies, not merely a weakening in Asia-

specific conditions. Declines in aggregate U.S. resi-

dential and commercial real estate prices should be

assumed to be concentrated in regions that have

experienced rapid price gains over the past two years.

Declines in prices of U.S. housing and commercial

real estate should also be assumed to be representa-

tive of risks to house prices and commercial real

estate prices in foreign regions and economies that

have experienced rapid price gains over the past two

years.

Global Market Shock Component forSupervisory Adverse and SeverelyAdverse Scenarios

The global market shock is a set of hypothetical

shocks to a large set of risk factors, such as asset

prices, interest rates, and spreads, reflecting general

market distress and heightened uncertainty. The risk

factor shocks are calibrated to the period of time

over which market events would unfold, which varies

depending on the anticipated liquidity of different

risk types, but are applied to firms’ positions on a

given as-of date. Firms with significant trading activ-

ity will be required to include the global market

shock as part of their supervisory adverse and

severely adverse scenarios, and recognize trading and

counterparty mark-to-market losses in the first quar-

ter of the planning horizon.7 In addition, as dis-

cussed below, certain large and highly interconnected

firms must apply the same global market shock to

project losses under the counterparty default sce-

nario component. The as-of date for the global mar-

ket shock is November 5, 2018.8

2019 Adverse Scenario

The global market shock component for the adverse

scenario simulates a marked decline in the economic

outlook for developing Asian markets. As a result,

sovereign credit spreads widen and currencies gener-

ally depreciate significantly in these markets. This

shock spreads to other global markets, which results

in increases in general risk premiums and credit risk.

U.S. interest rates move lower across the term struc-

ture. Due to a sharp reduction in demand from

developing Asia, most global commodity prices and

currencies of commodity exporters decline signifi-

cantly. Equity markets decline broadly.

The 2019 adverse scenario addresses themes similar

to those of the 2018 adverse scenario.

2019 Severely Adverse Scenario

The global market shock component for the severely

adverse scenario features a significant weakening in

European economic conditions and spillover effects

that lead to sell-offs in financial assets more broadly.

The European distress leads to global market dislo-

cations, affecting U.S. and developing Asian and

other emerging markets. There is a sudden increase

in implied volatilities broadly, a large decline in

industrial and energy commodity prices, and a sig-

nificant widening in credit spreads, with an associ-

ated decline in market liquidity. Liquidity deteriora-

tion is most severe in those asset markets that are

typically less liquid, such as corporate debt and pri-

vate equity markets, and is less pronounced in those

7 The global market shock component applies to a firm that issubject to the supervisory stress test and that has aggregatetrading assets and liabilities of $50 billion or more, or aggregatetrading assets and liabilities equal to 10 percent or more of totalconsolidated assets, and is not a large and noncomplex firmunder the Board’s capital plan rule (12 CFR 225.8).

8 A firm may use data as of the date that corresponds to itsweekly internal risk reporting cycle as long as it falls during thebusiness week of the as-of date for the global market shock(i.e., November 5–9, 2018). Losses from the global marketshock will be assumed to occur in the first quarter of the plan-ning horizon.


markets that are typically more liquid such as pub-

licly traded equity and currency markets. In addi-

tion, relationships between the prices of financial

assets that would normally be expected to move

together come under pressure and are weakened in

some cases. As a result, certain hedging strategies are

less effective than historical experience would

suggest.

Flight-to-quality capital flows push interest rates

down across the term structure in the U.S. and cer-

tain European countries, while emerging markets

and countries that are part of the European periph-

ery experience sharp increases in government yields.

Countries that are affected by the flight-to-quality

experience currency appreciation, while European

and emerging market currencies experience currency

depreciation against the U.S. dollar.

The major differences relative to the 2018 severely

adverse scenario include a heightened stress to Euro-

pean assets; a decline in the U.S. yield curve; an

appreciation of the U.S. dollar relative to most other

currencies; and more muted shocks to U.S. based

assets, such as U.S. agency and municipal products.

These differences are intended to reflect the more

Europe-focused nature of the stress and a general

flight-to-quality to U.S. markets.

Counterparty Default Componentfor Supervisory Adverse and SeverelyAdverse Scenarios

Firms with substantial trading or custodial opera-

tions will be required to incorporate a counterparty

default scenario component into their supervisory

adverse and severely adverse stress scenarios for

CCAR 2019.9 The counterparty default scenario

component involves the instantaneous and unex-

pected default of the firm’s largest counterparty.10

In connection with the counterparty default scenario

component, these firms will be required to estimate

and report the potential losses and related effects on

capital associated with the instantaneous and unex-

pected default of the counterparty that would gener-

ate the largest losses across their derivatives and

securities financing activities, including securities

lending and repurchase or reverse repurchase agree-

ment activities. The counterparty default scenario

component is an add-on to the macroeconomic con-

ditions and financial market environment specified

in the Federal Reserve’s adverse and severely adverse

stress scenarios.

Each firm’s largest counterparty will be determined

by net stressed losses; estimated by applying the

global market shock to revalue non-cash securities

financing activity assets (securities or collateral)

posted or received; and for derivatives, to the value

of the trade position and non-cash collateral

exchanged. The as-of date for the counterparty

default scenario component is November 5, 2018—

the same date as the global market shock.11

9 The Board may require a covered company to include one ormore additional components in its adverse and severely adverse

scenarios in the annual stress test based on the company'sfinancial condition, size, complexity, risk profile, scope ofoperations, or activities, or risks to the U.S. economy. See12 CFR 252.54(b)(2)(ii).

10 In selecting its largest counterparty, a firm subject to the coun-terparty default component will not consider certain sovereignentities (Canada, France, Germany, Italy, Japan, the UnitedKingdom, and the United States) or designated central clearingcounterparties.

11 As with the global market shock, a firm subject to the counter-party default component may use data as of the date that corre-sponds to its weekly internal risk reporting cycle as long as itfalls during the business week of the as-of date for the counter-party default scenario component (i.e., November 5–9, 2018).Losses will be assumed to occur in the first quarter of the plan-ning horizon.

February 2019 7

Variables for the Supervisory Scenarios

Table 1.A. Historical data: Domestic variables, Q1:2000–Q4:2018

Percent, unless otherwise indicated.

DateReal GDPgrowth

NominalGDP

growth

Realdispo-sable

incomegrowth

Nominaldispo-sable

incomegrowth

Unem-ployment

rate

CPIinflation

rate

3-monthTreasury

rate

5-yearTreasury

yield

10-yearTreasury

yield

BBBcorporate

yield

Mortgagerate

Primerate

Level

DowJonesTotalStock

MarketIndex

HousePriceIndex

Com-mercial

RealEstatePriceIndex

MarketVolatility

Index

Q1 2000 1.5 4.2 7.9 11.5 4.0 4.0 5.5 6.6 6.7 8.2 8.3 8.7 14,296 102 126 27.0

Q2 2000 7.5 10.2 4.5 6.4 3.9 3.2 5.7 6.5 6.4 8.5 8.3 9.2 13,619 105 125 33.5

Q3 2000 0.5 2.8 4.7 7.3 4.0 3.7 6.0 6.1 6.1 8.1 8.0 9.5 13,613 107 138 21.9

Q4 2000 2.5 4.7 1.4 3.7 3.9 2.9 6.0 5.6 5.8 7.9 7.6 9.5 12,176 110 144 31.7

Q1 2001 -1.1 1.3 3.7 6.5 4.2 3.9 4.8 4.9 5.3 7.4 7.0 8.6 10,646 112 143 32.8

Q2 2001 2.4 4.9 -0.7 1.2 4.4 2.8 3.7 4.9 5.5 7.5 7.1 7.3 11,407 114 142 34.7

Q3 2001 -1.6 -0.1 9.6 9.8 4.8 1.1 3.2 4.6 5.3 7.3 7.0 6.6 9,563 116 144 43.7

Q4 2001 1.1 2.4 -5.0 -4.7 5.5 -0.3 1.9 4.2 5.1 7.2 6.8 5.2 10,708 118 139 35.3

Q1 2002 3.5 4.9 9.3 10.1 5.7 1.3 1.7 4.5 5.4 7.6 7.0 4.8 10,776 120 140 26.1

Q2 2002 2.4 3.9 2.7 5.9 5.8 3.2 1.7 4.5 5.4 7.6 6.8 4.8 9,384 124 140 28.4

Q3 2002 1.8 3.7 -0.3 1.6 5.7 2.2 1.6 3.4 4.5 7.3 6.3 4.8 7,774 127 141 45.1

Q4 2002 0.6 2.9 2.4 4.3 5.9 2.4 1.3 3.1 4.3 7.0 6.1 4.5 8,343 129 144 42.6

Q1 2003 2.2 4.1 0.9 3.8 5.9 4.2 1.2 2.9 4.2 6.5 5.8 4.3 8,052 132 151 34.7

Q2 2003 3.5 4.7 5.0 5.1 6.1 -0.7 1.0 2.6 3.8 5.7 5.5 4.2 9,342 135 151 29.1

Q3 2003 7.0 9.3 6.9 9.6 6.1 3.0 0.9 3.1 4.4 6.0 6.0 4.0 9,650 139 149 22.7

Q4 2003 4.7 7.2 1.1 2.9 5.8 1.5 0.9 3.2 4.4 5.8 5.9 4.0 10,800 143 147 21.1

Q1 2004 2.2 5.2 1.9 5.3 5.7 3.4 0.9 3.0 4.1 5.5 5.6 4.0 11,039 148 153 21.6

Q2 2004 3.1 6.5 4.7 7.6 5.6 3.2 1.1 3.7 4.7 6.1 6.1 4.0 11,145 154 163 20.0

Q3 2004 3.8 6.6 2.6 4.7 5.4 2.6 1.5 3.5 4.4 5.8 5.9 4.4 10,894 159 175 19.3

Q4 2004 4.1 7.3 5.1 8.8 5.4 4.4 2.0 3.5 4.3 5.4 5.7 4.9 11,952 165 178 16.6

Q1 2005 4.5 7.9 -4.6 -2.4 5.3 2.0 2.5 3.9 4.4 5.4 5.8 5.4 11,637 172 179 14.7

Q2 2005 1.9 4.7 3.9 6.4 5.1 2.7 2.9 3.9 4.2 5.5 5.7 5.9 11,857 179 185 17.7

Q3 2005 3.6 7.4 1.2 5.6 5.0 6.2 3.4 4.0 4.3 5.5 5.8 6.4 12,283 185 190 14.2

Q4 2005 2.5 5.9 5.2 8.6 5.0 3.8 3.8 4.4 4.6 5.9 6.2 7.0 12,497 191 198 16.5

Q1 2006 5.4 8.4 8.0 10.2 4.7 2.1 4.4 4.6 4.7 6.0 6.2 7.4 13,122 194 203 14.6

Q2 2006 0.9 4.4 1.0 4.3 4.6 3.7 4.7 5.0 5.2 6.5 6.6 7.9 12,809 193 212 23.8

Q3 2006 0.6 3.5 1.0 4.0 4.6 3.8 4.9 4.8 5.0 6.4 6.6 8.3 13,323 192 220 18.6

Q4 2006 3.5 5.0 5.4 4.7 4.4 -1.6 4.9 4.6 4.7 6.1 6.2 8.3 14,216 191 222 12.7

Q1 2007 0.9 5.0 3.4 7.4 4.5 4.0 5.0 4.6 4.8 6.1 6.2 8.3 14,354 189 229 19.6

Q2 2007 2.3 5.0 1.0 4.3 4.5 4.6 4.7 4.7 4.9 6.3 6.4 8.3 15,163 184 239 18.9

Q3 2007 2.2 4.3 0.4 2.6 4.7 2.6 4.3 4.5 4.8 6.5 6.6 8.2 15,318 178 248 30.8

Q4 2007 2.5 4.1 0.3 4.3 4.8 5.0 3.4 3.8 4.4 6.4 6.2 7.5 14,754 172 249 31.1

Q1 2008 -2.3 -0.8 1.1 4.6 5.0 4.4 2.1 2.8 3.9 6.5 5.9 6.2 13,284 165 235 32.2

Q2 2008 2.1 4.3 7.5 12.0 5.3 5.3 1.6 3.2 4.1 6.8 6.1 5.1 13,016 157 224 24.1

Q3 2008 -2.1 0.8 -8.1 -4.3 6.0 6.3 1.5 3.1 4.1 7.2 6.3 5.0 11,826 150 231 46.7

Q4 2008 -8.4 -7.2 3.5 -2.5 6.9 -8.9 0.3 2.2 3.7 9.4 5.9 4.1 9,057 142 219 80.9

Q1 2009 -4.4 -4.5 -1.7 -4.0 8.3 -2.7 0.2 1.9 3.2 9.0 5.1 3.3 8,044 138 209 56.7

Q2 2009 -0.6 -1.2 4.4 6.3 9.3 2.1 0.2 2.3 3.7 8.2 5.0 3.3 9,343 138 180 42.3

(continued)

9

Table 1.A.—continued

DateReal GDPgrowth

NominalGDP

growth

Realdispo-sable

incomegrowth

Nominaldispo-sable

incomegrowth

Unem-ployment

rate

CPIinflation

rate

3-monthTreasury

rate

5-yearTreasury

yield

10-yearTreasury

yield

BBBcorporate

yield

Mortgagerate

Primerate

Level

DowJonesTotalStock

MarketIndex

HousePriceIndex

Com-mercial


MarketVolatility

Index

Q3 2009 1.5 1.9 -4.4 -1.8 9.6 3.5 0.2 2.5 3.8 6.8 5.2 3.3 10,813 139 160 31.3

Q4 2009 4.5 5.9 -0.1 3.0 9.9 3.2 0.1 2.3 3.7 6.1 4.9 3.3 11,385 139 159 30.7

Q1 2010 1.5 2.6 2.3 3.7 9.8 0.6 0.1 2.4 3.9 5.8 5.0 3.3 12,033 139 153 27.3

Q2 2010 3.7 5.7 6.8 7.2 9.6 -0.1 0.1 2.3 3.6 5.6 4.9 3.3 10,646 138 165 45.8

Q3 2010 3.0 4.2 2.9 3.6 9.5 1.2 0.2 1.6 2.9 5.1 4.4 3.3 11,814 136 167 32.9

Q4 2010 2.0 4.3 2.3 4.8 9.5 3.3 0.1 1.5 3.0 5.0 4.4 3.3 13,132 134 168 23.5

Q1 2011 -1.0 1.2 4.1 7.8 9.0 4.3 0.1 2.1 3.5 5.4 4.8 3.3 13,909 133 171 29.4

Q2 2011 2.9 5.6 -0.9 3.1 9.1 4.6 0.0 1.8 3.3 5.1 4.7 3.3 13,844 133 173 22.7

Q3 2011 -0.1 2.5 1.8 3.7 9.0 2.6 0.0 1.1 2.5 4.9 4.3 3.3 11,677 133 170 48.0

Q4 2011 4.7 5.4 1.2 2.6 8.6 1.8 0.0 1.0 2.1 5.0 4.0 3.3 13,019 133 176 45.5

Q1 2012 3.2 5.8 7.7 10.7 8.3 2.3 0.1 0.9 2.1 4.7 3.9 3.3 14,628 135 179 23.0

Q2 2012 1.7 3.3 3.7 4.7 8.2 0.8 0.1 0.8 1.8 4.5 3.8 3.3 14,100 138 180 26.7

Q3 2012 0.5 2.6 -2.8 -1.7 8.0 1.8 0.1 0.7 1.6 4.2 3.6 3.3 14,895 141 186 20.5

Q4 2012 0.5 2.5 11.5 14.1 7.8 2.7 0.1 0.7 1.7 3.9 3.4 3.3 14,835 144 185 22.7

Q1 2013 3.6 5.3 -15.1 -13.9 7.7 1.6 0.1 0.8 1.9 4.0 3.5 3.3 16,396 147 188 19.0

Q2 2013 0.5 1.7 3.0 3.3 7.5 -0.4 0.1 0.9 2.0 4.1 3.7 3.3 16,771 151 197 20.5

Q3 2013 3.2 5.2 1.7 3.4 7.2 2.2 0.0 1.5 2.7 4.9 4.4 3.3 17,718 155 207 17.0

Q4 2013 3.2 5.7 1.6 3.3 6.9 1.5 0.1 1.4 2.8 4.8 4.3 3.3 19,413 158 212 20.3

Q1 2014 -1.0 0.5 6.2 8.3 6.7 2.5 0.0 1.6 2.8 4.6 4.4 3.3 19,711 160 209 21.4

Q2 2014 5.1 7.8 4.9 7.0 6.2 2.1 0.0 1.7 2.7 4.3 4.2 3.3 20,569 161 216 17.0

Q3 2014 4.9 6.9 4.5 5.7 6.1 1.1 0.0 1.7 2.5 4.2 4.1 3.3 20,459 164 220 17.0

Q4 2014 1.9 2.7 5.0 4.6 5.7 -0.9 0.0 1.6 2.3 4.2 4.0 3.3 21,425 166 229 26.3

Q1 2015 3.3 3.0 5.0 3.2 5.5 -2.6 0.0 1.5 2.0 4.0 3.7 3.3 21,708 168 243 22.4

Q2 2015 3.3 5.7 3.1 5.1 5.4 2.7 0.0 1.5 2.2 4.2 3.8 3.3 21,631 170 245 18.9

Q3 2015 1.0 2.4 3.4 4.7 5.1 1.5 0.0 1.6 2.3 4.5 4.0 3.3 19,959 173 250 40.7

Q4 2015 0.4 0.5 0.9 0.7 5.0 0.1 0.1 1.6 2.2 4.6 3.9 3.3 21,101 175 250 24.4

Q1 2016 1.5 1.2 2.7 3.0 4.9 -0.1 0.3 1.4 2.0 4.6 3.7 3.5 21,179 177 242 28.1

Q2 2016 2.3 5.1 -0.6 1.7 4.9 2.7 0.3 1.3 1.8 4.1 3.6 3.5 21,622 179 245 25.8

Q3 2016 1.9 3.5 1.5 3.3 4.9 1.8 0.3 1.2 1.6 3.7 3.4 3.5 22,469 182 262 18.1

Q4 2016 1.8 3.9 2.7 4.7 4.8 2.7 0.4 1.7 2.2 4.1 3.8 3.5 23,277 185 265 22.5

Q1 2017 1.8 3.9 4.5 6.6 4.6 3.0 0.6 2.0 2.5 4.2 4.2 3.8 24,508 187 260 13.1

Q2 2017 3.0 4.2 2.2 3.0 4.4 0.1 0.9 1.8 2.3 4.0 4.0 4.0 25,125 190 269 16.0

Q3 2017 2.8 4.8 2.2 3.9 4.3 2.1 1.0 1.8 2.3 3.9 3.9 4.3 26,149 193 274 16.0

Q4 2017 2.3 5.1 2.3 5.1 4.1 3.3 1.2 2.1 2.4 3.9 3.9 4.3 27,673 196 283 13.1

Q1 2018 2.2 4.3 4.4 7.0 4.1 3.5 1.6 2.5 2.8 4.2 4.3 4.5 27,383 199 277 37.3

Q2 2018 4.2 7.6 1.8 3.8 3.9 1.7 1.8 2.8 2.9 4.6 4.5 4.8 28,314 202 293 23.6

Q3 2018 3.4 4.9 2.4 4.0 3.8 2.0 2.0 2.8 2.9 4.6 4.6 5.0 30,190 204 286 16.1

Q4 2018 2.7 4.6 2.7 4.4 3.8 1.8 2.3 2.9 3.0 5.0 4.8 5.3 25,725 205 287 36.1

Note: Refer to Notes Regarding Scenario Variables for more information on the definitions and sources of historical observations of the variables in the table.


Table 1.B. Historical data: International variables, Q1:2000–Q4:2018


Date Euro areareal GDPgrowth

Euro areainflation

Euro areabilateraldollar

exchangerate

(USD/euro)

DevelopingAsia

real GDPgrowth

DevelopingAsia

inflation

DevelopingAsia

bilateraldollar

exchangerate

(F/USD,index)

Japanreal GDPgrowth

Japaninflation

Japanbilateraldollar

exchangerate

(yen/USD)

U.K.real GDPgrowth

U.K.inflation

U.K.bilateraldollar

exchangerate

(USD/pound)

Q1 2000 4.5 2.6 0.957 7.0 1.5 100.0 7.7 -0.5 102.7 3.4 0.5 1.592

Q2 2000 3.7 0.9 0.955 7.1 -0.3 100.7 0.9 -1.1 106.1 2.5 0.4 1.513

Q3 2000 2.1 3.4 0.884 8.1 2.2 101.5 0.3 -0.3 107.9 1.1 1.0 1.479

Q4 2000 3.3 2.8 0.939 3.0 2.4 105.1 4.0 -1.1 114.4 0.7 1.9 1.496

Q1 2001 3.3 1.2 0.879 4.9 1.7 106.0 2.1 0.7 125.5 5.4 0.1 1.419

Q2 2001 0.7 4.0 0.847 5.5 2.1 106.1 -1.8 -2.3 124.7 3.2 3.1 1.408

Q3 2001 0.3 1.4 0.910 4.7 1.3 106.4 -4.0 -0.5 119.2 3.0 1.0 1.469

Q4 2001 0.8 1.7 0.890 8.5 0.0 106.9 -1.2 -1.9 131.0 1.8 0.0 1.454

Q1 2002 0.5 3.1 0.872 7.7 0.5 107.3 0.6 -1.1 132.7 1.9 1.9 1.425

Q2 2002 2.0 2.0 0.986 8.1 1.1 104.8 3.1 0.1 119.9 2.7 0.9 1.525

Q3 2002 1.6 1.6 0.988 7.2 1.5 105.5 1.3 -0.4 121.7 3.1 1.4 1.570

Q4 2002 0.6 2.3 1.049 6.5 0.7 104.5 1.1 -0.8 118.8 3.6 1.9 1.610

Q1 2003 -1.0 3.3 1.090 6.7 3.6 105.5 0.2 0.0 118.1 2.7 1.6 1.579

Q2 2003 0.2 0.5 1.150 2.1 1.1 104.0 2.6 0.3 119.9 3.8 0.3 1.653

Q3 2003 2.0 2.1 1.165 14.3 0.1 102.6 1.6 -0.5 111.4 4.2 1.7 1.662

Q4 2003 3.1 2.3 1.260 13.0 5.5 103.4 4.5 -1.0 107.1 3.3 1.6 1.784

Q1 2004 2.3 2.2 1.229 5.6 4.0 101.4 3.1 0.8 104.2 2.2 1.3 1.840

Q2 2004 2.2 2.6 1.218 6.9 4.1 102.8 -0.3 -0.4 109.4 1.5 1.0 1.813

Q3 2004 1.2 2.0 1.242 8.2 4.1 102.7 2.6 -0.1 110.2 0.7 1.1 1.809

Q4 2004 1.5 2.4 1.354 6.4 0.8 98.9 -0.8 1.9 102.7 1.0 2.4 1.916

Q1 2005 0.6 1.4 1.297 10.5 2.9 98.6 1.9 -1.2 107.2 3.8 2.5 1.889

Q2 2005 2.8 2.2 1.210 8.6 1.5 98.9 2.7 -1.0 110.9 4.5 1.9 1.793

Q3 2005 3.0 3.1 1.206 9.3 2.4 98.6 4.0 -1.0 113.3 4.8 2.7 1.770

Q4 2005 2.5 2.4 1.184 11.7 1.6 98.1 0.7 0.1 117.9 6.1 1.4 1.719

Q1 2006 3.7 1.7 1.214 11.0 2.4 96.8 0.6 1.2 117.5 1.1 1.9 1.739

Q2 2006 4.3 2.5 1.278 7.0 3.2 96.7 1.1 0.4 114.5 0.9 3.0 1.849

Q3 2006 2.6 2.1 1.269 10.3 2.2 96.4 -0.7 0.4 118.0 0.3 3.3 1.872

Q4 2006 4.5 0.9 1.320 11.3 3.6 94.6 5.3 -0.5 119.0 1.4 2.6 1.959

Q1 2007 3.0 2.3 1.337 13.9 3.6 94.0 2.9 -0.7 117.6 4.0 2.6 1.969

Q2 2007 2.6 2.3 1.352 10.5 4.9 91.9 0.6 0.4 123.4 2.9 1.7 2.006

Q3 2007 1.9 2.1 1.422 8.7 7.6 90.6 -2.0 0.3 115.0 3.4 0.2 2.039

Q4 2007 2.1 4.8 1.460 12.8 5.9 89.4 1.9 2.2 111.7 3.4 4.0 1.984

Q1 2008 2.2 4.2 1.581 7.2 8.1 88.0 1.3 1.2 99.9 1.4 3.7 1.986

Q2 2008 -1.5 3.2 1.575 6.0 6.3 88.7 -1.8 1.8 106.2 -2.9 5.7 1.991

Q3 2008 -2.2 3.2 1.408 3.1 3.0 91.5 -4.9 3.4 105.9 -6.4 5.8 1.780

Q4 2008 -6.6 -1.4 1.392 0.3 -1.1 92.2 -9.4 -2.1 90.8 -8.4 0.5 1.462

Q1 2009 -11.4 -1.1 1.326 4.4 -1.4 94.2 -17.8 -3.6 99.2 -6.5 -0.1 1.430

Q2 2009 -1.0 0.0 1.402 15.1 2.3 92.2 8.6 -1.6 96.4 -0.8 2.1 1.645

Q3 2009 1.3 1.1 1.463 12.8 4.1 91.3 0.2 -1.4 89.5 0.6 3.5 1.600

Q4 2009 2.2 1.6 1.433 9.2 5.0 90.6 5.7 -1.5 93.1 1.4 3.0 1.617

Q1 2010 1.6 1.8 1.353 9.8 4.4 89.8 3.4 1.0 93.4 1.8 4.0 1.519

Q2 2010 3.8 2.0 1.229 9.7 3.4 91.0 5.5 -1.4 88.5 3.5 3.2 1.495

Q3 2010 1.9 1.6 1.360 8.8 4.2 88.4 7.6 -1.9 83.5 2.3 2.3 1.573

Q4 2010 2.5 2.6 1.327 9.2 7.5 87.4 -3.2 1.3 81.7 0.5 4.0 1.539

Q1 2011 3.3 3.6 1.418 9.8 6.2 86.4 -5.6 -0.1 82.8 3.0 6.7 1.605

Q2 2011 0.1 3.2 1.452 6.4 5.4 85.3 -2.6 -0.7 80.6 0.6 4.7 1.607

Q3 2011 0.0 1.4 1.345 5.5 5.3 87.3 10.5 0.3 77.0 1.1 3.7 1.562

Q4 2011 -1.1 3.5 1.297 6.7 3.0 87.2 -0.6 -0.6 77.0 0.7 3.3 1.554

Q1 2012 -0.6 2.8 1.333 7.3 3.2 86.2 5.1 2.2 82.4 2.6 2.1 1.599

Q2 2012 -1.4 2.3 1.267 6.0 3.9 88.0 -3.2 -1.5 79.8 -0.2 2.0 1.569

(continued)

February 2019 11

Table 1.B.—continued


Euro areainflation


exchangerate

(USD/euro)

DevelopingAsia

real GDPgrowth

DevelopingAsia

inflation

DevelopingAsia

bilateraldollar

exchangerate

(F/USD,index)

Japanreal GDPgrowth

Japaninflation


exchangerate

(yen/USD)

U.K.real GDPgrowth

U.K.inflation

U.K.bilateraldollar

exchangerate

(USD/pound)

Q3 2012 -0.5 1.6 1.286 6.5 2.2 86.2 -1.4 -1.8 77.9 4.8 2.3 1.613

Q4 2012 -1.7 2.4 1.319 7.3 3.5 85.9 1.0 0.1 86.6 -0.9 4.0 1.626

Q1 2013 -1.4 1.2 1.282 6.5 4.6 86.1 4.7 0.6 94.2 2.6 2.9 1.519

Q2 2013 2.0 0.4 1.301 6.4 2.8 87.1 3.3 0.0 99.2 2.2 1.7 1.521

Q3 2013 1.4 1.3 1.354 7.6 3.5 86.5 3.5 2.7 98.3 3.6 2.1 1.618

Q4 2013 0.9 0.2 1.378 6.8 4.0 85.8 -0.2 2.6 105.3 1.9 1.5 1.657

Q1 2014 1.9 0.8 1.378 5.9 1.4 86.8 3.7 1.0 103.0 3.4 1.9 1.668

Q2 2014 0.8 0.0 1.369 7.4 2.6 86.6 -7.3 8.3 101.3 3.4 1.4 1.711

Q3 2014 1.6 0.3 1.263 6.7 2.4 87.0 0.6 1.8 109.7 2.8 0.8 1.622

Q4 2014 2.0 -0.5 1.210 5.8 1.1 88.1 1.9 -0.8 119.9 2.7 -0.4 1.558

Q1 2015 2.9 -1.0 1.074 6.0 0.9 88.0 5.3 0.4 120.0 1.8 -1.2 1.485

Q2 2015 1.7 1.9 1.115 6.9 2.7 88.4 0.6 0.8 122.1 2.3 0.8 1.573

Q3 2015 1.5 -0.2 1.116 6.5 2.8 91.0 0.1 0.3 119.8 1.7 0.8 1.512

Q4 2015 1.9 -0.2 1.086 5.6 1.3 92.2 -1.8 -0.8 120.3 3.0 0.0 1.475

Q1 2016 2.8 -1.4 1.139 6.5 3.0 91.8 2.8 -0.1 112.4 1.3 -0.1 1.438

Q2 2016 1.1 1.3 1.103 6.7 2.8 94.2 0.1 -0.7 102.8 0.6 0.8 1.324

Q3 2016 1.4 1.3 1.124 6.0 1.3 93.7 1.3 -0.1 101.2 1.9 2.2 1.302

Q4 2016 3.0 1.7 1.055 5.8 1.9 97.5 0.7 2.2 116.8 3.0 2.0 1.234

Q1 2017 2.7 2.7 1.070 6.2 1.1 95.2 3.3 -0.4 111.4 1.7 3.6 1.254

Q2 2017 2.7 0.4 1.141 6.1 2.0 94.6 2.1 -0.1 112.4 1.0 3.2 1.300

Q3 2017 2.7 1.0 1.181 6.8 2.4 93.5 2.7 0.8 112.6 2.1 2.5 1.340

Q4 2017 2.7 1.6 1.202 5.8 3.0 91.0 1.5 2.0 112.7 1.6 2.9 1.353

Q1 2018 1.5 2.1 1.232 7.1 2.2 89.0 -1.3 2.5 106.2 0.3 2.3 1.403

Q2 2018 1.7 2.1 1.168 5.9 1.4 93.5 2.8 -2.7 110.7 1.7 2.0 1.320

Q3 2018 0.6 2.6 1.162 5.1 3.3 97.1 -2.5 3.1 113.5 2.5 2.9 1.305

Q4 2018 1.6 0.9 1.146 5.9 2.6 96.2 0.9 0.7 109.7 1.4 1.9 1.276



Table 2.A. Supervisory baseline scenario: Domestic variables, Q1:2019–Q1:2022


DateReal GDPgrowth

NominalGDP

growth

Realdispo-sable

incomegrowth

Nominaldispo-sable

incomegrowth

Unem-ployment

rate

CPIinflation

rate

3-monthTreasury

rate

5-yearTreasury

yield

10-yearTreasury

yield

BBBcorporate

yield

Mortgagerate

Primerate

Level

DowJonesTotalStock

MarketIndex

HousePriceIndex

Com-mercial


MarketVolatility

Index

Q1 2019 2.2 4.2 2.8 4.2 3.7 1.5 2.5 2.8 2.9 4.6 4.5 5.5 26,026 207 293 28.3

Q2 2019 2.5 4.8 2.3 4.5 3.6 2.3 2.6 2.9 3.0 4.8 4.6 5.6 26,367 208 296 27.0

Q3 2019 2.2 4.4 2.3 4.4 3.6 2.3 2.7 3.0 3.1 4.9 4.6 5.7 26,687 209 300 25.3

Q4 2019 2.0 4.2 2.2 4.3 3.6 2.3 2.8 3.0 3.2 4.9 4.7 5.8 26,998 210 304 24.5

Q1 2020 1.7 4.0 2.1 4.3 3.6 2.4 2.8 3.0 3.2 4.9 4.7 5.8 27,299 212 308 23.9

Q2 2020 1.6 4.0 2.1 4.0 3.6 2.1 2.8 3.0 3.2 4.9 4.7 5.8 27,603 213 312 23.5

Q3 2020 1.5 3.7 1.9 4.0 3.7 2.2 2.8 3.0 3.2 4.9 4.7 5.8 27,894 214 316 23.7

Q4 2020 1.6 3.8 1.9 3.8 3.8 2.1 2.8 3.1 3.2 4.9 4.7 5.8 28,193 216 320 23.9

Q1 2021 2.2 4.3 2.3 4.4 3.9 2.2 2.8 3.3 3.4 5.2 4.9 5.8 28,529 217 322 24.6

Q2 2021 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.3 3.5 5.1 5.0 5.8 28,858 219 324 23.8

Q3 2021 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.4 3.5 5.2 5.0 5.8 29,191 221 327 23.7

Q4 2021 2.0 4.1 2.2 4.2 4.0 2.2 2.8 3.4 3.5 5.2 5.0 5.8 29,527 222 329 23.6

Q1 2022 2.0 4.1 2.2 4.2 4.1 2.2 2.8 3.4 3.6 5.2 5.1 5.8 29,868 224 332 23.6


Table 2.B. Supervisory baseline scenario: International variables, Q1:2019–Q1:2022



Euro areainflation


exchangerate

(USD/euro)

DevelopingAsia

real GDPgrowth

DevelopingAsia

inflation

DevelopingAsia

bilateraldollar

exchangerate

(F/USD,index)

Japanreal GDPgrowth

Japaninflation


exchangerate

(yen/USD)

U.K.real GDPgrowth

U.K.inflation

U.K.bilateraldollar

exchangerate

(USD/pound)

Q1 2019 1.6 1.6 1.155 5.9 2.6 96.6 0.8 1.1 109.9 1.4 2.1 1.294

Q2 2019 1.7 1.6 1.164 5.9 2.5 97.0 0.8 1.1 110.1 1.4 2.1 1.311

Q3 2019 1.7 1.6 1.172 5.9 2.5 97.4 0.8 1.1 110.3 1.5 2.1 1.328

Q4 2019 1.6 1.6 1.181 5.8 2.6 97.7 0.7 1.1 110.4 1.5 2.1 1.345

Q1 2020 1.6 1.6 1.188 5.8 2.7 97.4 0.7 1.1 110.0 1.5 2.0 1.350

Q2 2020 1.5 1.7 1.194 5.7 2.8 97.1 0.7 1.1 109.6 1.5 2.0 1.354

Q3 2020 1.5 1.7 1.200 5.7 2.8 96.8 0.7 1.0 109.2 1.5 2.0 1.358

Q4 2020 1.4 1.7 1.206 5.7 2.9 96.5 0.7 1.0 108.7 1.5 2.0 1.362

Q1 2021 1.4 1.8 1.206 5.7 2.9 96.5 0.7 1.0 108.7 1.5 2.0 1.362

Q2 2021 1.4 1.8 1.206 5.7 2.8 96.5 0.6 1.0 108.7 1.6 2.0 1.362

Q3 2021 1.4 1.9 1.206 5.7 2.8 96.5 0.6 1.0 108.7 1.6 2.0 1.362

Q4 2021 1.3 1.9 1.206 5.6 2.9 96.5 0.6 1.0 108.7 1.6 2.0 1.362

Q1 2022 1.3 1.9 1.206 5.6 2.9 96.5 0.6 1.0 108.7 1.6 2.0 1.362


February 2019 13

Table 3.A. Supervisory adverse scenario: Domestic variables, Q1:2019–Q1:2022


DateReal GDPgrowth

NominalGDP

growth

Realdispo-sable

incomegrowth

Nominaldispo-sable

incomegrowth

Unem-ployment

rate

CPIinflation

rate

3-monthTreasury

rate

5-yearTreasury

yield

10-yearTreasury

yield

BBBcorporate

yield

Mortgagerate

Primerate

Level

DowJonesTotalStock

MarketIndex

HousePriceIndex

Com-mercial


MarketVolatility

Index

Q1 2019 -1.6 0.2 -3.7 -2.6 4.3 1.3 0.3 0.5 0.9 4.1 3.4 3.3 24,068 201 283 44.4

Q2 2019 -4.0 -1.9 -4.1 -2.4 5.1 2.0 0.2 0.7 1.0 4.6 3.6 3.2 21,695 198 280 43.1

Q3 2019 -2.8 -0.9 -2.3 -0.6 5.7 1.9 0.1 0.7 1.1 4.8 3.7 3.1 20,527 194 275 39.2

Q4 2019 -1.6 0.4 -1.1 0.7 6.2 2.0 0.1 0.8 1.2 4.9 3.8 3.1 20,045 190 267 34.9

Q1 2020 -1.0 1.0 -0.6 1.4 6.6 2.2 0.1 0.8 1.3 4.7 3.7 3.1 20,200 185 259 30.5

Q2 2020 0.2 2.4 0.2 1.9 6.8 2.0 0.1 0.9 1.3 4.6 3.7 3.1 20,609 181 252 27.3

Q3 2020 0.9 3.0 0.5 2.5 7.0 2.1 0.1 1.0 1.3 4.4 3.6 3.1 21,024 178 244 25.3

Q4 2020 2.5 4.6 1.5 3.4 7.0 2.1 0.1 1.0 1.4 4.3 3.5 3.1 21,633 176 239 23.5

Q1 2021 2.9 4.9 2.3 4.3 6.9 2.2 0.1 1.1 1.6 4.3 3.6 3.1 22,248 176 237 22.5

Q2 2021 3.1 5.2 1.9 3.9 6.7 2.2 0.1 1.2 1.7 4.2 3.7 3.1 23,033 178 237 21.4

Q3 2021 3.3 5.3 1.9 3.9 6.6 2.1 0.1 1.2 1.8 4.1 3.7 3.1 23,792 179 237 20.8

Q4 2021 3.4 5.4 1.9 3.8 6.4 2.1 0.1 1.3 1.9 4.0 3.6 3.1 24,621 182 238 20.3

Q1 2022 3.4 5.3 1.8 3.7 6.3 2.1 0.1 1.3 1.9 3.8 3.6 3.1 25,537 184 239 20.1


Table 3.B. Supervisory adverse scenario: International variables, Q1:2019–Q1:2022



Euro areainflation


exchangerate

(USD/euro)

DevelopingAsia

real GDPgrowth

DevelopingAsia

inflation

DevelopingAsia

bilateraldollar

exchangerate

(F/USD,index)

Japanreal GDPgrowth

Japaninflation


exchangerate

(yen/USD)

U.K.real GDPgrowth

U.K.inflation

U.K.bilateraldollar

exchangerate

(USD/pound)

Q1 2019 -2.6 1.6 1.117 1.9 1.0 97.9 -2.0 -0.1 108.8 -2.8 1.5 1.286

Q2 2019 -3.3 1.0 1.104 2.1 0.2 99.8 -3.5 -0.5 108.5 -3.4 1.1 1.273

Q3 2019 -2.3 0.5 1.115 3.4 0.1 101.1 -4.2 -0.7 108.8 -2.6 0.7 1.285

Q4 2019 -1.6 0.2 1.129 4.2 0.1 102.0 -4.6 -1.1 108.0 -1.8 0.6 1.297

Q1 2020 -0.6 0.3 1.135 5.5 0.6 101.9 -2.0 -0.6 108.8 -0.7 0.7 1.302

Q2 2020 0.2 0.5 1.140 6.1 0.6 100.9 -1.0 -0.4 108.7 0.2 0.8 1.306

Q3 2020 0.8 0.8 1.146 6.3 0.9 100.0 -0.4 -0.2 108.5 0.9 1.0 1.309

Q4 2020 1.3 1.0 1.152 6.3 1.2 99.2 0.1 0.0 108.5 1.4 1.1 1.312

Q1 2021 1.6 1.1 1.156 6.2 1.4 98.6 0.4 0.2 108.6 1.8 1.2 1.313

Q2 2021 1.7 1.3 1.160 6.1 1.5 98.2 0.7 0.3 108.7 2.0 1.3 1.314

Q3 2021 1.7 1.4 1.164 6.1 1.7 97.8 0.8 0.4 108.8 2.1 1.4 1.316

Q4 2021 1.7 1.5 1.169 6.0 1.9 97.4 0.9 0.5 108.8 2.1 1.5 1.318

Q1 2022 1.6 1.6 1.172 5.9 2.0 97.1 0.9 0.5 108.8 2.1 1.5 1.321



Table 4.A. Supervisory severely adverse scenario: Domestic variables, Q1:2019–Q1:2022


DateReal GDPgrowth

NominalGDP

growth

Realdispo-sable

incomegrowth

Nominaldispo-sable

incomegrowth

Unem-ployment

rate

CPIinflation

rate

3-monthTreasury

rate

5-yearTreasury

yield

10-yearTreasury

yield

BBBcorporate

yield

Mortgagerate

Primerate

Level

DowJonesTotalStock

MarketIndex

HousePriceIndex

Com-mercial


MarketVolatility

Index

Q1 2019 -5.0 -3.5 -5.1 -4.2 4.7 1.2 0.3 0.3 0.8 5.3 3.9 3.3 17,836 199 280 67.8

Q2 2019 -9.4 -7.7 -7.1 -5.8 6.3 1.6 0.2 0.5 0.9 6.1 4.2 3.2 14,694 193 272 70.0

Q3 2019 -7.2 -5.7 -4.8 -3.4 7.5 1.7 0.1 0.6 1.0 6.5 4.4 3.1 13,317 186 262 61.3

Q4 2019 -5.0 -3.4 -3.2 -1.6 8.4 1.8 0.1 0.6 1.1 6.5 4.5 3.1 12,862 178 247 49.9

Q1 2020 -3.8 -2.1 -2.4 -0.7 9.2 1.9 0.1 0.7 1.2 6.2 4.3 3.1 13,462 170 232 38.4

Q2 2020 -1.5 0.5 -1.2 0.4 9.7 1.8 0.1 0.7 1.2 5.8 4.2 3.1 14,421 163 217 31.2

Q3 2020 -0.3 1.6 -0.6 1.2 10.0 2.0 0.1 0.7 1.2 5.5 4.1 3.1 15,479 156 202 26.9

Q4 2020 2.9 4.8 1.2 3.0 9.9 2.0 0.1 0.7 1.2 5.1 3.9 3.1 16,847 152 192 23.3

Q1 2021 3.6 5.4 2.3 4.3 9.7 2.1 0.1 0.9 1.5 5.0 3.9 3.1 17,788 151 187 22.5

Q2 2021 4.1 5.9 2.2 4.2 9.5 2.1 0.1 1.0 1.6 4.7 3.8 3.1 19,352 153 187 21.4

Q3 2021 4.4 6.2 2.3 4.3 9.2 2.1 0.1 1.1 1.6 4.4 3.8 3.1 21,039 154 187 20.8

Q4 2021 4.6 6.4 2.5 4.3 8.9 2.0 0.1 1.2 1.7 4.0 3.6 3.1 22,940 157 189 20.3

Q1 2022 4.6 6.3 2.4 4.2 8.6 2.0 0.1 1.2 1.8 3.7 3.5 3.1 25,137 160 191 20.1


Table 4.B. Supervisory severely adverse scenario: International variables, Q1:2019–Q1:2022



Euro areainflation


exchangerate

(USD/euro)

DevelopingAsia

real GDPgrowth

DevelopingAsia

inflation

DevelopingAsia

bilateraldollar

exchangerate

(F/USD,index)

Japanreal GDPgrowth

Japaninflation


exchangerate

(yen/USD)

U.K.real GDPgrowth

U.K.inflation

U.K.bilateraldollar

exchangerate

(USD/pound)

Q1 2019 -5.4 1.5 1.092 -0.8 0.0 98.8 -3.9 -0.8 108.1 -5.6 1.0 1.282

Q2 2019 -6.5 0.5 1.067 -0.4 -1.3 101.7 -6.4 -1.5 107.4 -6.6 0.4 1.248

Q3 2019 -4.9 -0.3 1.079 1.7 -1.5 103.6 -7.5 -1.9 107.8 -5.3 -0.2 1.258

Q4 2019 -3.8 -0.8 1.095 3.1 -1.6 104.9 -8.2 -2.5 106.4 -4.0 -0.3 1.266

Q1 2020 -2.1 -0.6 1.100 5.3 -0.8 105.0 -3.8 -1.7 108.1 -2.2 -0.2 1.271

Q2 2020 -0.6 -0.2 1.106 6.4 -0.8 103.5 -2.1 -1.4 108.1 -0.6 0.0 1.275

Q3 2020 0.4 0.1 1.112 6.7 -0.3 102.2 -1.1 -1.0 108.1 0.5 0.3 1.277

Q4 2020 1.2 0.5 1.118 6.6 0.1 101.0 -0.3 -0.7 108.3 1.4 0.5 1.279

Q1 2021 1.6 0.7 1.124 6.5 0.4 100.1 0.3 -0.4 108.5 1.9 0.7 1.281

Q2 2021 1.9 0.9 1.131 6.4 0.7 99.3 0.7 -0.2 108.7 2.3 0.9 1.283

Q3 2021 2.0 1.0 1.138 6.3 0.9 98.6 0.9 0.0 108.9 2.5 1.0 1.286

Q4 2021 1.9 1.2 1.144 6.2 1.2 98.1 1.0 0.1 108.9 2.5 1.1 1.290

Q1 2022 1.9 1.3 1.151 6.2 1.5 97.5 1.1 0.3 108.9 2.5 1.2 1.294


February 2019 15

Notes Regarding Scenario Variables

Sources for data through 2018:Q4 (as released

through January 18, 2019). The 2018:Q4 values of

variables marked with an asterisk (*) are projected.

*U.S. real GDP growth: Percent change in real gross

domestic product, chained (2009) dollars, expressed

at an annualized rate, Bureau of Economic Analysis

(NIPA table 1.1.6, line 1).

*U.S. nominal GDP growth: Percent change in gross

domestic product (current dollars), expressed at an

annualized rate, Bureau of Economic Analysis

(NIPA table 1.1.5, line 1).

*U.S. real disposable income growth: Percent change

in disposable personal income (current dollars)

divided by the price index for personal consumption

expenditures, expressed at an annualized rate, Bureau

of Economic Analysis (NIPA table 2.1, line 27, and

NIPA table 1.1.4, line 2).

*U.S. nominal disposable income growth: Percent

change in disposable personal income (current dol-

lars), expressed at an annualized rate, Bureau of

Economic Analysis (NIPA table 2.1, line 27).

U.S. unemployment rate: Quarterly average of

seasonally-adjusted monthly data for the unemploy-

ment rate of the civilian, noninstitutional population

of age 16 years and older, Bureau of Labor Statistics

(series LNS14000000).

U.S. CPI inflation: Percent change in the quarterly

average of seasonally-adjusted monthly data for the

consumer price index, expressed at an annualized

rate, Bureau of Labor Statistics (series

CUSR0000SA0).

U.S. 3-month Treasury rate: Quarterly average of

3-month Treasury bill secondary market rate on a

discount basis, H.15 Release, Selected Interest Rates,

Federal Reserve Board (series RIFSGFSM03_N.B).

U.S. 5-year Treasury yield: Quarterly average of the

yield on 5-year U.S. Treasury bonds, constructed for

the FRB/U.S. model by Federal Reserve staff based

on the Svensson smoothed term structure model; see

Lars E. O. Svensson (1995), “Estimating Forward

Interest Rates with the Extended Nelson-Siegel

Method,” Quarterly Review, no. 3, Sveriges Riks-

bank, pp. 13–26.

U.S. 10-year Treasury yield: Quarterly average of the

yield on 10-year U.S. Treasury bonds, constructed

for the FRB/U.S. model by Federal Reserve staff

based on the Svensson smoothed term structure

model; see id.

U.S. BBB corporate yield: Merrill Lynch 10-year

BBB corporate bond yield, Z.1 Release (Financial

Accounts of the United States), Federal Reserve

Board (series FL073163013.Q).

U.S. mortgage rate: Quarterly average of weekly

series for the interest rate of a conventional, con-

forming, 30-year fixed-rate mortgage, obtained from

the Primary Mortgage Market Survey of the Federal

Home Loan Mortgage Corporation.

U.S. prime rate: Quarterly average of monthly series,

H.15 Release (Selected Interest Rates), Federal

Reserve Board (series RIFSPBLP_N.M).

U.S. Dow Jones Total Stock Market (Float Cap)

Index: End of quarter value via Bloomberg

Finance L.P.

*U.S. House Price Index: Price Index for Owner-

Occupied Real Estate, CoreLogic National, Z.1

Release (Financial Accounts of the United States),

Federal Reserve Board (series FL075035243.Q).

*U.S. Commercial Real Estate Price Index: Commer-

cial Real Estate Price Index, Z.1 Release (Financial

Accounts of the United States), Federal Reserve

Board (series FL075035503.Q divided by 1000).

U.S. Market Volatility Index (VIX): VIX converted

to quarterly frequency using the maximum close-of-

day value in any quarter, Chicago Board Options

Exchange via Bloomberg Finance LP.

*Euro area real GDP growth: Percent change in real

gross domestic product at an annualized rate, staff

calculations based on Statistical Office of the Euro-

pean Communities via Haver, extended back using

ECB Area Wide Model dataset (ECB Working Paper

series no. 42).

Euro area inflation: Percent change in the quarterly

average of the harmonized index of consumer prices

at an annualized rate, staff calculations based on Sta-

tistical Office of the European Communities via

Haver.


*Developing Asia real GDP growth: Percent change

in real gross domestic product at an annualized rate,

staff calculations based on data from Bank of Korea

via Haver; National Bureau of Statistics of China via

Haver; Indian Central Statistics Office via Haver;

Census and Statistics Department of Hong Kong via

Haver; and Taiwan Directorate-General of Budget,

Accounting and Statistics via Haver.

*Developing Asia inflation: Percent change in the

quarterly average of the consumer price index, or

local equivalent, at an annualized rate, staff calcula-

tions based on data from National Bureau of Statis-

tics of China via Haver; Indian Ministry of Statistics

and Programme Implementation via Haver; Labour

Bureau of India via Haver; National Statistical

Office of the Republic of Korea via Haver; Census

and Statistics Department of Hong Kong via Haver;

and Taiwan Directorate-General of Budget,

Accounting and Statistics via Haver.

*Japan real GDP growth: Percent change in gross

domestic product at an annualized rate from 1980 to

present and percent change in gross domestic expen-

diture at an annualized rate prior to 1980, Cabinet

Office of Japan via Haver.

Japan inflation: Percent change in the quarterly aver-

age of the consumer price index at an annualized

rate, based on data from the Ministry of Internal

Affairs and Communications via Haver.

*U.K. real GDP growth: Percent change in gross

domestic product at an annualized rate, U.K. Office

for National Statistics via Haver.

U.K. inflation: Percent change in the quarterly aver-

age of the consumer price index at an annualized

rate from 1988 to present and percent change in the

quarterly average of the retail prices index prior to

1988, staff calculations based on data from the U.K.

Office for National Statistics via Haver.

Exchange rates: End-of-quarter exchange rates, H.10

Release (Foreign Exchange Rates), Federal Reserve

Board.

February 2019 17

0219

www.federalreserve.gov

https://www.federalreserve.gov

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